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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2016
ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …
Persistent link: https://www.econbiz.de/10013004300
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - East Asian Bureau of Economic Research (EABER) - 2006
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10009363828
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Tay, Anthony S.; Christoffersen, Peter F.; Diebold, … - East Asian Bureau of Economic Research (EABER) - 2006
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10009363861
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Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - School of Economics, Singapore Management University - 2004
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10005091204
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - Department of Economics, University of Pennsylvania - 2006
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10005109605
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Weather forecasting for weather derivatives
Campbell, Sean D. (contributor);  … - 2004 - Rev.
Persistent link: https://www.econbiz.de/10003349895
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Weather forecasting for weather derivatives
Campbell, Sean D. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001728054
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Weather forecasting for weather derivatives
Campbell, Sean D.; Diebold, Francis X. - In: Journal of the American Statistical Association : JASA 100 (2005) 469, pp. 6-16
Persistent link: https://www.econbiz.de/10002702010
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Weather forecasting for weather derivatives
Campbell, Sean D.; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001853816
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Weather forecasting for weather derivatives
Campbell, Sean D. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002022980